NBB Insurance Stress Test 2017 Results of the Low for Long scenario

Transcription

1 NBB Insurance Stress Test 2017 Results of the Low for Long scenario TA Prudential policy & Financial stability This presentation is for information purposes only.

2 Outline NBB Insurance Stress Test 2017 Overview results at market level 2 / 16

3 NBB Insurance Stress Test Principles First national insurance stress test General principles Bottom-up Individual (solo) level Reference date YE16 Assess impact on balance sheet, own funds and SCR Instantaneous shocks No second round effects No management actions Two scenarios NBB: Low for Long scenario IMF: IMF Adverse scenario Is not discussed in this presentation 3 / 16

4 NBB Insurance Stress Test Low for Long scenario Goal The primary objective is to identify and assess potential vulnerabilities of the Belgian insurance sector to interest rate risk Additionally, the results are taken into account when assessing the possible exemption of an insurer to contribute to the flashing light provision Scope Identified weaknesses at individual level cannot be neglected Vulnerabilities at market level can best be addressed at individual level Mandatory: large insurers Voluntary: all other insurers with a life or workers compensation activity Scenario Assess impact of a stressed yield curve on balance sheet and solvency All other parameters (VA, spreads, ) are not stressed 4 / 16

5 NBB Insurance Stress Test Low for Long scenario 3,0% 2,5% EUR risk free rate curves (with VA) ,0% 200 1,5% 150 1,0% 100 0,5% 50 0,0% -0,5% ,0% ,5% -150 Shift 17 (bp) Shift 16 (bp) Basecase (dec. 16) Low for Long oct / 16

6 NBB Insurance Stress Test Scope Low for Long Invited to participate: 36 Company Invited Participated Market analysis All insurers with a life or workers compensation activity Company Invited Participated 0014 KBC Verzekeringen Y Y Y 0519 SECUREX AT Y N N 0033 FIDEA Y Y Y 0735 ERGO Insurance Y Y N 0037 Belfius Verzekeringen Y Y Y 0809 CURALIA Y N N 0039 AXA Belgium Y Y Y 0858 Argenta Assuranties Y Y Y 0058 P&V Assurances Y Y Y 0938 Cigna Life Insurance Y N N 0079 AG Insurance Y Y Y 0944 Securex Vie Y Y Y 0096 Baloise Belgium Y Y Y 0952 Contassur Y Y N 0097 Allianz Benelux Y Y Y 0956 North Europe Life Belgium Y Y Y 0124 Alpha Insurance Y N N 1052 Xerius Y Y Y 0129 L'Ardenne Prévoyante Y Y N 1528 SPF Y Y N 0145 Generali Belgium Y Y Y 1530 Integrale Y Y N 0165 ETHIAS DC Y N N 1642 Patronale Life Y N N 0167 Delta Lloyd Life Y Y Y 1644 ABN AMRO Life Capital Y N N 0196 Ethias Y Y Y 1665 Credimo Y Y Y 0320 La Fédérale Pensions Y N N 2168 WHESTIA Y N N 0345 Fédérale Assurance AT Y N N 2539 CPH LIFE Y Y N 0346 Fédérale Assurance Vie Y Y Y 2550 NN Insurance Belgium Y Y Y 0435 Corona Y Y Y 2553 Crelan Insurance Y N N Market analysis Have participated: 25 (-11 insurers [red]) In scope of market analysis: 19 (-6 insurers [orange]) 6 / 16

7 NBB Insurance Stress Test Scope Low for Long (YE16 - m.) Total market All participants (25) Included in sample (19) Excluded from sample (6) Total assets % ,2% Investments % ,6% Loans & Mortgages % 782 2,9% Unit linked % ,5% Total liabilities % ,3% TP Non Life % 28 0,1% TP Life % ,0% TP Unit lined % ,5% GWP % 877 3,0% Non Life % 54 0,4% Life % 823 5,4% Very high coverage ratio of sample (19 companies) 94% of total TP Life are included in the sample No material impact of exclusions from sample 7 / 16

8 NBB Insurance Stress Test Timeline Date June 20 th June 23 th 2017 Activity Consultation of stress test package with Assuralia June 30 th 2017 Launch of the NBB Insurance Stress Test 2017 July 6 th 2017 June 30 th August 25 th 2017 August 25 th 2017 September 15 th 2017 Mid-September December 2017 End December 2017 Q (tentative date) Information session at the NBB Q&A process Early submission of a part of the results of the IMF Adverse scenario Submission of the results of the Low for Long and IMF FSAP stress test Validation and analysis of the results Communication on the Low for Long results Communication on the IMF FSAP stress test results 8 / 16

9 Outline NBB Insurance Stress Test 2017 Overview results at market level Low for Long 9 / 16

10 Low for Long - Result at market level Market remains well capitalised after LY scenario Strong initial solvency position Solvency surplus: 11,8 bn SCR ratio: 179% No use of the Transitional on Technical Provisions (except for one insurer) absorbs the significant impact of the scenario 350% 300% 250% Solvency (including LTG and VA) SCR ratio MCR ratio (right scale) 1000% 900% 800% 700% 200% 150% 100% 50% 600% 500% 400% 300% 200% 100% EU solvency figures are difficult to compare due to different application of LTG measures throughout the EU. For example many German insurers make use of the Transitional on TP. 0% DE AT ES EEA FR LU IT BE NL UK 0% 10 / 16

11 Low for Long - Result at market level Significant impact LY scenario Results have been adjusted by NBB Applied cap on LAC DT to net DTL to all results (~ comparability) Most participants still applied this cap Decrease in solvency surplus: - 5,3 bn decrease in EOF: - 3,7 bn (-13,8% pre stress EOF) increase in SCR: + 1,6 bn (+10,5% pre stress SCR) Acceptable post stress situation Solvency surplus: 6,5 bn SCR ratio: 139% (-40%) SCR ratio: 145% (without cap on LAC DT) Increase in SCR would be limited to + 1,0 bn (+6,6% pre stress SCR) 11 / 16

12 Low for Long - Change in own funds Decrease in Quantity EOF: -13,8% or - 3,7 bn Driven by Drop in Tier 1 (Reconciliation reserve) Increase in Tier3 (Net DTA on B/S) Capped to 15% of SCR (tiering loss) Decrease in Quality EOF Pre stress Post stress T1 88,6% 86,1% -2,5% T2 9,8% 11,6% +1,8% T3 1,6% 2,3% +0,7% 12 / 16

13 Low for Long - Change in assets Decrease in Tier 1 EOF is driven by decrease in eaol Decrease in eaol: - 3,4 bn (-13,3%) Caused by the lower yield curve and duration mismatch Increase in assets: + 9,8 bn (+3,3%) Increase in liabilities: + 13,2 bn (+4,9%) 13 / 16

14 Low for Long - Change in liabilities 14 / 16

15 Low for Long - Change in capital requirement SCR of P/IM users is more risk sensitive than SF users Increase in SCR of SF users is mainly driven by An increase of SCR Life underwriting risk (=> SCR Lapse) A decrease of the LAC DT 15 / 16

16 Contact Questions? 16 / 16